Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0101
Annualized Std Dev 0.3333
Annualized Sharpe (Rf=0%) 0.0303

Row

Daily Return Statistics

Close
Observations 3475.0000
NAs 1.0000
Minimum -0.2995
Quartile 1 -0.0065
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0000
Quartile 3 0.0078
Maximum 0.2988
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0210
Skewness 0.0326
Kurtosis 32.4111

Downside Risk

Close
Semi Deviation 0.0150
Gain Deviation 0.0165
Loss Deviation 0.0177
Downside Deviation (MAR=210%) 0.0191
Downside Deviation (Rf=0%) 0.0149
Downside Deviation (0%) 0.0149
Maximum Drawdown 0.8215
Historical VaR (95%) -0.0293
Historical ES (95%) -0.0513
Modified VaR (95%) -0.0203
Modified ES (95%) -0.0203
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 2021-02-22 -0.8215 3402 439 2963
2021-02-25 2021-02-26 2021-03-08 -0.0398 8 2 6
2006-11-24 2006-11-28 2006-12-04 -0.0204 6 3 3
2021-03-15 2021-03-16 NA -0.0147 6 2 NA
2021-03-09 2021-03-09 2021-03-10 -0.0117 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA -0.1 -0.5 -0.5
2007 0.1 -0.7 -0.8 -0.8 0.1 -1.1 -2.8 1.4 0.5 -0.4 1.9 1.7 -1.1
2008 1.1 -4.6 6.1 3.3 2.1 1.2 0.2 -0.2 3.3 5 -11.9 4.8 9.4
2009 -7.2 -4.5 1.4 -1.6 2.5 -0.3 0.8 -6 -3.8 -4.2 2.1 -0.3 -19.6
2010 0.9 0.4 0.5 -2 -3.2 -1.8 0.4 4 0.1 -0.1 1.8 -0.1 0.7
2011 1.5 -1.5 1 -0.3 -3.1 1.4 -1.2 -0.6 -1.2 -4.3 -0.6 -0.3 -9.1
2012 1.7 0.7 0.8 1.1 -3.2 2.7 -0.2 0.4 0.4 1.7 0.7 0.5 7.5
2013 1.1 0 -0.6 -1.1 -1.4 0.3 1.4 -0.7 0.9 0 -0.5 0.4 -0.2
2014 -0.9 0.5 0.3 0.5 0.3 0.8 -0.6 0.5 -0.9 1.6 -0.7 -1.2 0.2
2015 -1.6 -0.3 -0.4 0.9 0 1.6 -0.5 -2.9 0 -1.2 1.1 -1.1 -4.3
2016 -0.5 3.2 0.6 -0.7 0 -0.3 -0.3 -0.4 1.5 -0.3 1.2 0.2 4.2
2017 0.1 2.4 -0.4 0.5 1.2 0.2 0.7 0.4 0.4 0 0.1 -0.4 5.3
2018 0.9 -1.4 1.1 -0.3 1.1 -0.2 -0.4 0 0.2 0.5 0.8 0.9 3.4
2019 0.7 0.5 2.4 -1.2 -1.6 1.2 -2.7 0.3 -2.7 1.5 -0.2 0.4 -1.4
2020 -1.7 -2.7 -6.1 -4.1 1.6 -1.9 -0.1 0.2 -0.1 -0.2 2.4 1.3 -11
2021 1.4 3.1 -1 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-11-07  49.0 SPY    139.  0.0038   0.006    0.0261   0.0916    0.134    0.303    0.233 GLD    62.0  0.00240  0.0299 
2 2006-11-08  49   SPY    139.  0.0022   0.015    0.0269   0.0906    0.136    0.315    0.238 GLD    61.1 -0.015   -0.0041 
3 2006-11-09  48.7 SPY    138. -0.0053   0.0102   0.0227   0.0879    0.129    0.314    0.227 GLD    63.0  0.0301   0.0166 
4 2006-11-10  48.8 SPY    138.  0.0004   0.0125   0.0144   0.0876    0.121    0.315    0.226 GLD    62.5 -0.0073   0.003  
5 2006-11-13  49.0 SPY    139.  0.0025   0.0036   0.0143   0.0774    0.120    0.303    0.237 GLD    62.2 -0.00480  0.00480
6 2006-11-14  49.0 SPY    140.  0.0075   0.0073   0.0203   0.0757    0.129    0.313    0.219 GLD    61.6 -0.009   -0.0066 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart